Electronic Communications in Probability
- Electron. Commun. Probab.
- Volume 23 (2018), paper no. 55, 12 pp.
Short proofs in extrema of spectrally one sided Lévy processes
We provide short and simple proofs of the continuous time ballot theorem for processes with cyclically interchangeable increments and Kendall’s identity for spectrally positive Lévy processes. We obtain the later result as a direct consequence of the former. The ballot theorem is extended to processes having possible negative jumps. Then we prove through straightforward arguments based on the law of bridges and Kendall’s identity, Theorem 2.4 in  which gives an expression for the law of the supremum of spectrally positive Lévy processes. An analogous formula is obtained for the supremum of spectrally negative Lévy processes.
Electron. Commun. Probab., Volume 23 (2018), paper no. 55, 12 pp.
Received: 17 April 2018
Accepted: 10 August 2018
First available in Project Euclid: 1 September 2018
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Chaumont, Loïc; Małecki, Jacek. Short proofs in extrema of spectrally one sided Lévy processes. Electron. Commun. Probab. 23 (2018), paper no. 55, 12 pp. doi:10.1214/18-ECP163. https://projecteuclid.org/euclid.ecp/1535767266